
Index Futures 
Index Options 
Futures on Individual Securities 
Options on Individual Securities 
Price scan range 
Three standard deviations (3 sigma). Min. margin percentage is 7.1%. 
Three standard deviations (3 sigma) 
Three & a half standard deviations (3.5 sigma). Min. margin percentage is 10.7%. 
Three & a half standard deviations (3.5 sigma) 
Volatility scan range 
4% 
4% 
10% 
10% 
Short Option Minimum Charge 

3% of the notional value* of all short index option positions 

7.5% of the notional value* of all short index option positions 